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Pesaran, M. Hashem
Timmermann, Allan
Year of Publication: 
Series/Report no.: 
CESifo Working Paper 1169
This paper considers the problems facing decision-makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated systems and discusses some of the possible ways advanced in the literature for dealing with them. The role of feedbacks from the decision-maker's actions to the data generating process is also discussed and highlighted through an example.
specification search
data snooping
recursive/sequential modelling
automated model selection
Document Type: 
Working Paper

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